Infinite divisibility of the spacings of a Kotz-Kozubowski-Podgórski generalized Laplace model (Q951193): Difference between revisions

The authors define a asymmetric Laplace distribution by its characteristic function \(\psi\): \[ \psi(t) = \frac{e^{i\theta t}}{1+\frac{1}{2}\sigma^{2}t^{2} - i\mu t}. \] They prove that the spacings of this distribution have distributions that are two-component mixtures of exponential distributions, and hence are infinitely divisible. These mixtures may be `generalized', i.e., one of the components may have a negative sign.